Solution behavior of Heston model using impression matrix norm

Ahmet Duran; Burhaneddin Izgi

doi:10.1007/978-3-319-06923-4_20

Solution behavior of Heston model using impression matrix norm

Ahmet Duran^*, Burhaneddin Izgi

^*Corresponding author for this work

Department of Mathematics Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

2 Citations (Scopus)

Abstract

We are interested in the behavior of solutions for several stochastic differential equations such as Heston model. We focus on the numerical solutions via Milstein method for different stock market conditions. We examine the advantages and limitations of the model. Moreover, we introduce 3-dimensional matrix norms. Furthermore, we define market impression matrix norm as an application to the 3-dimensional matrix norms. Later, we perform simulations for various parameters.

Original language	English
Title of host publication	Advances in Applied Mathematics
Editors	Ali R. Ansari
Publisher	Springer New York LLC
Pages	215-221
Number of pages	7
ISBN (Electronic)	9783319069227
DOIs	https://doi.org/10.1007/978-3-319-06923-4_20
Publication status	Published - 2014
Event	Gulf International Conference on Applied Mathematics, GICAM 2013 - Kuwait, Kuwait Duration: 19 Nov 2013 → 21 Nov 2013

Publication series

Name	Springer Proceedings in Mathematics and Statistics
Volume	87
ISSN (Print)	2194-1009
ISSN (Electronic)	2194-1017

Conference

Conference	Gulf International Conference on Applied Mathematics, GICAM 2013
Country/Territory	Kuwait
City	Kuwait
Period	19/11/13 → 21/11/13

Bibliographical note

Publisher Copyright:
© Springer International Publishing Switzerland 2014.

Keywords

3-dimensional matrix norm
Heston model
Impression matrix norm
Numerical solutions of stochastic differential equations

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10.1007/978-3-319-06923-4_20

Cite this

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title = "Solution behavior of Heston model using impression matrix norm",

abstract = "We are interested in the behavior of solutions for several stochastic differential equations such as Heston model. We focus on the numerical solutions via Milstein method for different stock market conditions. We examine the advantages and limitations of the model. Moreover, we introduce 3-dimensional matrix norms. Furthermore, we define market impression matrix norm as an application to the 3-dimensional matrix norms. Later, we perform simulations for various parameters.",

keywords = "3-dimensional matrix norm, Heston model, Impression matrix norm, Numerical solutions of stochastic differential equations",

author = "Ahmet Duran and Burhaneddin Izgi",

note = "Publisher Copyright: {\textcopyright} Springer International Publishing Switzerland 2014.; Gulf International Conference on Applied Mathematics, GICAM 2013 ; Conference date: 19-11-2013 Through 21-11-2013",

year = "2014",

doi = "10.1007/978-3-319-06923-4_20",

language = "English",

series = "Springer Proceedings in Mathematics and Statistics",

publisher = "Springer New York LLC",

pages = "215--221",

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Duran, A & Izgi, B 2014, Solution behavior of Heston model using impression matrix norm. in AR Ansari (ed.), Advances in Applied Mathematics. Springer Proceedings in Mathematics and Statistics, vol. 87, Springer New York LLC, pp. 215-221, Gulf International Conference on Applied Mathematics, GICAM 2013, Kuwait, Kuwait, 19/11/13. https://doi.org/10.1007/978-3-319-06923-4_20

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T1 - Solution behavior of Heston model using impression matrix norm

AU - Duran, Ahmet

AU - Izgi, Burhaneddin

N1 - Publisher Copyright: © Springer International Publishing Switzerland 2014.

PY - 2014

Y1 - 2014

N2 - We are interested in the behavior of solutions for several stochastic differential equations such as Heston model. We focus on the numerical solutions via Milstein method for different stock market conditions. We examine the advantages and limitations of the model. Moreover, we introduce 3-dimensional matrix norms. Furthermore, we define market impression matrix norm as an application to the 3-dimensional matrix norms. Later, we perform simulations for various parameters.

AB - We are interested in the behavior of solutions for several stochastic differential equations such as Heston model. We focus on the numerical solutions via Milstein method for different stock market conditions. We examine the advantages and limitations of the model. Moreover, we introduce 3-dimensional matrix norms. Furthermore, we define market impression matrix norm as an application to the 3-dimensional matrix norms. Later, we perform simulations for various parameters.

KW - 3-dimensional matrix norm

KW - Heston model

KW - Impression matrix norm

KW - Numerical solutions of stochastic differential equations

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U2 - 10.1007/978-3-319-06923-4_20

DO - 10.1007/978-3-319-06923-4_20

M3 - Conference contribution

AN - SCOPUS:84927616825

T3 - Springer Proceedings in Mathematics and Statistics

SP - 215

EP - 221

BT - Advances in Applied Mathematics

A2 - Ansari, Ali R.

PB - Springer New York LLC

T2 - Gulf International Conference on Applied Mathematics, GICAM 2013

Y2 - 19 November 2013 through 21 November 2013

ER -

Solution behavior of Heston model using impression matrix norm

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